Random variate generation for the generalized inverse Gaussian distribution
نویسنده
چکیده
We provide a uniformly efficient and simple random variate generator for the entire parameter range of the generalized inverse gaussian distribution. A general algorithm is provided as well that works for all densities that are proportional to a log-concave function φ, even if the normalization constant is not known. It requires only black box access to φ and its derivative.
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عنوان ژورنال:
- Statistics and Computing
دوره 24 شماره
صفحات -
تاریخ انتشار 2014